

BNP Paribas VAR breaches trigger capital hike
BNP Paribas’ US unit suffered worse trading losses than expected on four days in the second quarter, forcing it to increase required market risk capital.
The peak loss was 237% larger than the bank’s value-at-risk model estimated, the second largest 193% and the third largest 142%. By incurring five so-called VAR breaches in the last year, the multiplication factor applied to one part of BNP Paribas' market risk capital requirement jumped from the default level of three to 3.4.
Barclays
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact [email protected] to find out more.
You are currently unable to copy this content. Please contact [email protected] to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
More on Risk Quantum
Investing
Trend following’s bumper returns mask fading convexity
Research suggests strategy is no longer a reliable hedge against stock market crashes
Receive this by email